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Viscosity Solutions And Applications

Viscosity Solutions And Applications
Author: Martino Bardi
Publisher: Springer
ISBN: 3540690433
Size: 10.26 MB
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The volume comprises five extended surveys on the recent theory of viscosity solutions of fully nonlinear partial differential equations, and some of its most relevant applications to optimal control theory for deterministic and stochastic systems, front propagation, geometric motions and mathematical finance. The volume forms a state-of-the-art reference on the subject of viscosity solutions, and the authors are among the most prominent specialists. Potential readers are researchers in nonlinear PDE's, systems theory, stochastic processes.
Viscosity Solutions and Applications
Language: en
Pages: 266
Authors: Martino Bardi, Michael G. Crandall, Lawrence C. Evans, Halil M. Soner, Panagiotis E. Souganidis
Categories: Mathematics
Type: BOOK - Published: 2006-11-14 - Publisher: Springer
The volume comprises five extended surveys on the recent theory of viscosity solutions of fully nonlinear partial differential equations, and some of its most relevant applications to optimal control theory for deterministic and stochastic systems, front propagation, geometric motions and mathematical finance. The volume forms a state-of-the-art reference on the
Viscosity Solutions and Applications
Language: en
Pages: 266
Authors: Martino Bardi, Michael G. Crandall, Lawrence C. Evans, Halil M. Soner, Panagiotis E. Souganidis
Categories: Mathematics
Type: BOOK - Published: 1997-05-23 - Publisher: Springer
The volume comprises five extended surveys on the recent theory of viscosity solutions of fully nonlinear partial differential equations, and some of its most relevant applications to optimal control theory for deterministic and stochastic systems, front propagation, geometric motions and mathematical finance. The volume forms a state-of-the-art reference on the
Numerical Methods for Viscosity Solutions and Applications
Language: en
Pages: 248
Authors: Maurizio Falcone, Charalampos Makridakis
Categories: Mathematics
Type: BOOK - Published: 2001 - Publisher: World Scientific
Geometrical optics and viscosity solutions / A.-P. Blanc, G. T. Kossioris and G. N. Makrakis -- Computation of vorticity evolution for a cylindrical Type-II superconductor subject to parallel and transverse applied magnetic fields / A. Briggs ... [et al.] -- A characterization of the value function for a class of
Numerical Methods for Viscosity Solutions and Applications
Language: en
Pages: 234
Authors: Maurizio Falcone, Charalampos Makridakis
Categories: Mathematics
Type: BOOK - Published: 2001 - Publisher: World Scientific
The volume contains twelve papers dealing with the approximation of first and second order problems which arise in many fields of application including optimal control, image processing, geometrical optics and front propagation. Some contributions deal with new algorithms and technical issues related to their implementation. Other contributions are more theoretical,
Viscosity Solutions and Applications
Language: en
Pages: 259
Authors: Centro internazionale matematico estivo. Session
Categories: Mathematics
Type: BOOK - Published: 1997 - Publisher:
Books about Viscosity Solutions and Applications
Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations
Language: en
Pages: 574
Authors: Martino Bardi, Italo Capuzzo-Dolcetta
Categories: Science
Type: BOOK - Published: 2009-05-21 - Publisher: Springer Science & Business Media
This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman’s dynamic programming approach to optimal control and differential games. It will be of interest to scientists involved in the theory of optimal control of
Controlled Markov Processes and Viscosity Solutions
Language: en
Pages: 429
Authors: Wendell H. Fleming, Halil Mete Soner
Categories: Mathematics
Type: BOOK - Published: 2006-02-04 - Publisher: Springer Science & Business Media
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic
Numerical Methods for Viscosity Solutions and Applications
Language: en
Pages: 3
Authors: Wendell H. Fleming, Halil Mete Soner
Categories: Mathematics
Type: BOOK - Published: 2006 - Publisher:
Books about Numerical Methods for Viscosity Solutions and Applications
Stochastic control problems, viscosity solutions and application to finance
Language: en
Pages: 62
Authors: Nizar Touzi
Categories: Mathematics
Type: BOOK - Published: 2002-10-01 - Publisher: Edizioni della Normale
These notes have been prepared for the Special Research Semester on Financial Markets, which was held in Pisa, from April 29 to July 15, 2002. The general topics of these lectures is the Hamilton-Jacobi-Bellman approach to stochastic control problems, with applications to finance. Some of the topics treated are: the
Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications
Language: en
Pages: 301
Authors: Yves Achdou, Guy Barles, Hitoshi Ishii, Grigory L. Litvinov
Categories: Mathematics
Type: BOOK - Published: 2013-05-24 - Publisher: Springer
These Lecture Notes contain the material relative to the courses given at the CIME summer school held in Cetraro, Italy from August 29 to September 3, 2011. The topic was "Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications". The courses dealt mostly with the following subjects: first order and second order